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Arbitraging the Basel securitization framework : evidence from German ABS investment

Efing, Matthias - 2016

This paper provides evidence for regulatory arbitrage within the class of asset-backed securities (ABS) based on individual asset holding data of German banks. I find that banks operating with tight regulatory constraints exploit the low risk-sensitivity of rating-contingent capital requirements...

Persistent link: https://www.econbiz.de/10011975264

An analytical approach for systematic risk sensitivity of structured finance products

Claußen, Arndt; Löhr, Sebastian; Rösch, Daniel - In: Review of derivatives research 17 (2014) 1, pp. 1-37

Persistent link: https://www.econbiz.de/10010519296

Ratings based capital adequacy for securitizations

Lützenkirchen, Kristina; Rösch, Daniel; Scheule, Harald - In: Journal of banking & finance 37 (2013) 12, pp. 5236-5247

Persistent link: https://www.econbiz.de/10010343743

Arbitraging the Basel securitization framework : evidence from German ABS investment

Efing, Matthias - 2015

This paper provides evidence for regulatory arbitrage within the class of assetbacked securities (ABS) based on individual asset holding data of German banks. I find that those banks operating with tight regulatory constraints pick the securities with the highest yield and lowest collateral...

Persistent link: https://www.econbiz.de/10011391709

Systematic and liquidity risk in subprime-mortgage backed securities

Dungey, Mardi H.; Dwyer, Gerald P. <jun.>; Flavin, Thomas J. - In: Open economies review 24 (2013) 1, pp. 5-32

Persistent link: https://www.econbiz.de/10009737967

Assessing Risk on Subprime Mortgage Backed Securities : Did Credit Rating Agencies Misrepresent Risk to Investors?

Barnett, Harold C. - 2011

misleading investors with respect to the default risk on mortgage backed securities (MBS). This paper argues that, to the … detriment of investors, the CRA did not incorporate information available to securitizers in their ratings of subprime mortgage … Moody's Investor Services projections of loss for these mortgage pools. The percent of principal balances rated triple-A is …

Persistent link: https://www.econbiz.de/10013121890